I will be going through interview processes in next months. I would like to have a book/reference to practice the manipulation of PDE, and stochastic calculus questions. For example, I get a bit confused when I am deriving the Fokker-Planck equation, as PDE manipulation is necessary. I am seeking for a book/reference containing exercises and solutions, so I can practice.

Thank you very much for your help.

  • $\begingroup$ Shreve vol II chaper 6 "Connections with Partial Differential Equations" has exercises on Kolmogorov backward equation (#6.8) and on Kolmogorov forward equation also called Fokker-Planck (#6.9). If you search, you can find many versions of answers to exercises, e.g. by Yan Zeng $\endgroup$ Apr 24 at 0:24

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